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A regime-switching factor model for mean-variance optimization

Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59

Persistent link: https://www.econbiz.de/10012297507

Essays on portfolio optimization and estimation risk

Kovalenko, Illia - 2021

Persistent link: https://www.econbiz.de/10013502668

Bounding average treatment effects using linear programming

Lafférs, Lukáš - 2015

This paper presents a method of calculating sharp bounds on the average treatment effect using linear programming under identifying assumptions commonly used in the literature. This new method provides a sensitivity analysis of the identifying assumptions and missing data in an application...

Persistent link: https://www.econbiz.de/10011380632

A comparison between goal programming and regression analysis for portfolio selection

Tamiz, Mehrdad - In: Multiple criteria decision making : proceedings of the …, (pp. 421-432). 1997

Persistent link: https://www.econbiz.de/10001320327

Linear programming-based estimators in nonnegative autoregression

Preve, Daniel - In: Journal of banking & finance 61 (2015) 2, pp. 225-234

Persistent link: https://www.econbiz.de/10011586892

Enhanced balancing of bias-variance tradeoff in stochastic estimation : a minimax perspective

Lam, Henry; Zhang, Xinyu; Zhang, Xuhui - In: Operations research 71 (2023) 6, pp. 2352-2373

Persistent link: https://www.econbiz.de/10014445044

Optimal base drift : robustness under alternative scenarios

Stemp, Peter J. - 1989

Persistent link: https://www.econbiz.de/10000784631

Robust control of forward-looking models

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of monetary economics 50 (2003) 3, pp. 581-604

Persistent link: https://www.econbiz.de/10001766070

On robustness properties of convex risk minimization methods for pattern recognition

Christmann, Andreas; Steinwart, Ingo - 2003

Persistent link: https://www.econbiz.de/10001788632

Robust mean-covariance solutions for stochastic optimization

Popescu, Ioana (contributor) - 2004 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10002395681

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